There are multiple strains of rust in the US. And, there are also different rust organisms that impact other plants (some of my snapdragons get rust, for example, but being another type of rust, it does not cause rust on my daylilies).
The daylilies we have here in our deep-shade garden do better for dark-color presentation (no fading or bleaching), much lower watering needs overall, larger bloom size than their full-sun twins, and less impact by summer heat-dormancy. Since they don't get sent into the same level of heat-dormancy at the 90-100+ temp levels (shade seems to reduce their heat load by about 20 degrees) they have indeed produced re-bloom and continuous rebloom here, where expected from a give cultivar, even though their full-sun twins have shut down for the season.
They have done about the same for number of blooms, but can have the same problems (though no worse, in my experience) as full-sun fans with scape strength, though some do seem to have taller scapes overall, holding the flowers higher than full-sun fans, and longer leaves. I haven't noticed any difference in the fertility of pollen or pods.
We also gave up on patches of lawn under trees that always died back, stayed bare, or were always overrun with weed-grasses. I was really concerned that the weeds would remain, but after digging up just 6 inches to convert the area to flower-bed, only a few shallow-root weeds have appeared after more than a year.
I think its definitely worth trying out a fan or two, and you can always start out with fans that are "extras" from existing clumps, if you want. Here is today's second bloom from Dizzy Miss Lizzie in my deep-shade daylily patch, started from one gifted new fan (so grateful!) planted in November 2013:
